[R-SIG-Finance] time series regime detection in R?

[Matthieu Stigler]

Michael

While strucchange and segmented look at regime switches triggered by 
time, tsDyn package investigates regime change triggered by covariate. 
These are the smooth and threshold AR models, where the regimes will 
change depending on the past values of the variables, or levels of any 
other variables. The threshold models are also available in multivariate 
case, and in the cointegration case.

One should also mention in the same vein Markov Models, where regime 
changes are based on an unobserved Markov process. There is 
unfortunately no package on CRAN to offer this, but some packages in 
development on R forge.

Matthieu


Le 02/02/2012 16:25, Achim Zeileis a écrit :
> On Thu, 2 Feb 2012, Michael wrote:
>
>> Hi all, good morning and good evening!
>>
>> Could you please point me to some commands/functions/packages in R
>> commutity that can do regime detection for time series?
>
> The "strucchange" and "segmented" packages provide functionality in 
> this direction. The former considers abrupt shifts (including jumps) 
> in parameters whereas the latter has the additional restriction of 
> looking at continuous segmented functions.
>
> If you are in a setting without covariates, the packages "changepoint" 
> and "bcp" may also be of interest.
>
>> For example, giving a times series of SP500, and maybe other 
>> covariates and
>> macro data, we can answer the following questions:
>>
>> 1. How many regimes are there?
>> 2. Are we currently in a new regime and since when?
>
> A specific application that may be of interest in this direction is 
> implemented in the "fxregime" package (built on top of "strucchange"). 
> See also the accompanying paper:
>
>   Achim Zeileis, Ajay Shah, Ila Patnaik (2010). Testing, Monitoring,
>   and Dating Structural Changes in Exchange Rate Regimes. Computational
>   Statistics & Data Analysis, 54(6), 1696-1706.
>   doi:10.1016/j.csda.2009.12.005
>
> hth,
> Z
>
>> Thank you!
>>
>>     [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> R-SIG-Finance at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R 
>> questions should go.
>>
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R 
> questions should go.